Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0831 |
| Annualized Std Dev | 0.2400 |
| Annualized Sharpe (Rf=0%) | 0.3463 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3985.0000 |
| NAs | 1.0000 |
| Minimum | -0.1618 |
| Quartile 1 | -0.0068 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0081 |
| Maximum | 0.0971 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0151 |
| Skewness | -0.5944 |
| Kurtosis | 8.1330 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.5806 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0359 |
| Modified VaR (95%) | -0.0244 |
| Modified ES (95%) | -0.0511 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-09 | 2013-02-07 | -0.5806 | 1389 | 412 | 977 |
| 2020-02-14 | 2020-03-23 | 2020-10-05 | -0.3979 | 162 | 26 | 136 |
| 2018-09-05 | 2018-12-24 | 2020-01-21 | -0.2964 | 346 | 77 | 269 |
| 2015-06-24 | 2016-02-11 | 2017-02-15 | -0.2934 | 391 | 151 | 240 |
| 2006-05-08 | 2006-07-21 | 2007-07-12 | -0.2097 | 297 | 53 | 244 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | 0.1 | -0.5 | 0.5 | 0.1 | 0.1 | -0.1 | 0.5 | -0.3 | 2 | -0.7 | 1.7 |
| 2006 | 0.8 | 1.9 | 0.3 | -0.2 | 2.1 | 0.3 | -1.2 | -0.1 | -1.1 | -2.4 | -0.7 | -1.3 | -1.7 |
| 2007 | 1.6 | -0.2 | 0.6 | -0.2 | 0.8 | -0.6 | 0.3 | 1.2 | 3 | -3 | 0.3 | -1.5 | 2 |
| 2008 | 2.2 | -2.9 | 2.7 | 1.8 | 0.3 | 0.1 | -0.1 | -0.8 | -2 | 1.6 | -9.7 | 3.7 | -3.9 |
| 2009 | -0.8 | -1 | -1.2 | 0.3 | 3.4 | 1.9 | -0.2 | -2.2 | -2.2 | -1.8 | 1.1 | -0.4 | -3 |
| 2010 | 1.1 | 2.6 | -0.4 | -3 | -3.3 | -0.7 | -0.1 | 3.7 | 0.1 | -1.3 | 2.2 | -0.9 | -0.4 |
| 2011 | 2.5 | -2.6 | 1.2 | 1 | -3.6 | 1.8 | -0.5 | -1.7 | -2.1 | -3.8 | 0.3 | -0.1 | -7.7 |
| 2012 | 1.7 | 0.7 | -0.2 | 1 | -3.2 | 4 | -1.3 | 0.5 | 0.3 | 0 | -0.5 | 1.4 | 4.4 |
| 2013 | 0.9 | -0.3 | -1 | -1.6 | -0.4 | 1.3 | 0.4 | -0.9 | 1 | -0.5 | 0.2 | 0.4 | -0.5 |
| 2014 | -0.2 | -0.2 | 0.3 | -0.3 | -0.5 | 1 | -1.3 | 0.8 | -2 | 1.5 | -1.9 | 0.6 | -2.2 |
| 2015 | -1 | 0.3 | -0.7 | 0.2 | 0.3 | 0.2 | 0.2 | -2.4 | -0.6 | 0 | -0.6 | -0.6 | -4.7 |
| 2016 | 0 | 1.2 | 0.2 | -1.4 | 1.3 | 1.2 | 0.2 | -0.5 | 0.7 | -0.6 | -2.3 | -0.5 | -0.6 |
| 2017 | -0.5 | 1.6 | 0.7 | 0.4 | 2.2 | 0.9 | 0 | 0.4 | 0.4 | -1.1 | -0.8 | -0.3 | 4.1 |
| 2018 | 0.1 | -1.1 | 1.7 | 0.5 | 1 | -0.2 | -0.1 | 0.6 | -1.9 | 2.6 | 0.6 | 1.3 | 5.2 |
| 2019 | 0.4 | 1 | 0.1 | -0.5 | -1.1 | 0.1 | -0.2 | -0.5 | -1.5 | 0.7 | -0.7 | 0.3 | -1.8 |
| 2020 | -2.4 | -2.1 | -7.4 | -3.5 | 1.1 | -0.3 | -0.1 | 1.4 | 1.4 | -2.3 | 0.8 | -0.7 | -13.6 |
| 2021 | 2.7 | 3.5 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-03-03 15.2 SPY 121. 0.0004 0.0082 0.0194 0.0167 0.0478 0.0473 -0.0908 GLD 43.0 -0.0065 -0.0083
2 2005-03-04 15.2 SPY 123. 0.0125 0.0107 0.029 0.0285 0.0581 0.0637 -0.0984 GLD 43.4 0.0095 -0.0028
3 2005-03-07 15.3 SPY 123. 0.0005 0.0179 0.0322 0.0297 0.0551 0.0517 -0.107 GLD 43.5 0.0021 -0.0011
4 2005-03-08 15.1 SPY 122. -0.0037 0.0091 0.0175 0.0262 0.0641 0.05 -0.116 GLD 44.0 0.0129 0.0187
5 2005-03-09 15.0 SPY 121. -0.0111 -0.0017 0.0075 0.0243 0.0565 0.034 -0.127 GLD 44.0 -0.0002 0.0178
6 2005-03-10 14.9 SPY 121. 0.0022 0.0002 0.0086 0.0206 0.0769 0.0341 -0.141 GLD 44.2 0.0041 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
